Random variable by subclassing distribution

try_distr_rvs.py

# -*- coding: utf-8 -*-
"""Random variable by subclassing distribution

Created on Sun Jun 03 10:43:04 2012

Author: Josef Perktold

adjusted example from mailing list

generic random number generation given only the pdf is slooooow

time 10.9979999065 0.0

"""

import numpy as np
from scipy import stats

class MyDist1(stats.rv_continuous):
     def _pdf(self,x):
         return x*x * 1.5

d1 = MyDist1(name='pdf dist', a=-1, b=1)
print "check integral"
print d1.cdf([-1+1e-15, -0.99, 0.99, 1-1e-15])  

rvs1 = d1.rvs(size=100)
#array([-0.37491512, -0.98326919,  0.97390905,  0.89196531, -0.96708172,
#        0.93946045, -0.73901588,  0.52395328,  0.93735005,  0.37665337])

class MyDist2(stats.rv_continuous):
     def _pdf(self,x):
         return x*x * 3.0 / 2.0
         
     def _ppf(self, q):
         tmp = 2.*q - 1.
         sgn = np.sign(tmp)
         return sgn * np.power(np.abs(tmp), 1./3)

d2 = MyDist2(name='ppf dist', a=-1, b=1)
rvs2 = d2.rvs(size=100)

print "\nks test"
print stats.ks_2samp(rvs1, rvs2)

print "\nsame ppf"
qq = np.linspace(1e-10, 1.-1e-10, 5)
print d1.ppf(qq)
print d2.ppf(qq)

import time 

t0 = time.time()
d1.rvs(size=10000)
t1 = time.time()
d2.rvs(size=10000)
t2 = time.time()
print "\ntime", t1-t0, t2-t1